Eduardo Schwartz

Profile photo of Eduardo Schwartz
“I see my job, mainly, as teaching students how to think. The specific material, they’ll forget. But if they learn to think they will learn to solve the problems they’ll face later in their careers.”
 

Distinguished Professor of Finance; California Chair in Real Estate and Land Economics; Area Chair

Areas of Expertise

  • Asset Pricing
  • Bond Markets
  • Commodities
  • Fixed-Income Securities
  • Future Markets
  • Latin America
  • Mortgage-Backed Securities
  • Natural Resources
  • Oil and Gas Industry

About

 

Biography

During Professor Eduardo Schwartz’ nearly 30 years at UCLA Anderson, he has authored well over 100 papers, publications whose quality is matched only by the wide variety of subjects he has studied. An expert in various dimensions of asset and securities pricing, Schwartz has at various times focused on pricing internet companies, interest rate models, asset allocation issues, evaluating natural resource investments, the stochastic behavior of commodity prices and valuing patent-protected R&D projects. His collected works include more 100 than articles in finance and economic journals, two monographs and a large number of monograph chapters, conference proceedings and special reports.

“I move on, I change,” Schwartz says. “I started on derivatives, then did work with interest rate models, credit risk models and, more recently, commodity models and real options, the application of option concepts to value projects and companies.” Schwartz’ newest paper veers into environmental economics, a look at optimal carbon abatement.

He is among the first researchers to develop the real options method of pricing investments under uncertainty. He is co-editor, with Lenos Trigeorgis of the University of Cyprus, on the book Real Options and Investment Under Uncertainty (MIT, 2001), a compilation of recent papers and classic research in the field. “I began my academic career with a degree in engineering,” says Schwartz, who earned his bachelor’s degree in his native Chile. “My work since has been rooted in mathematical modeling and an interest in stochastic modeling and uncertainty.”

In 2015, Schwartz was named International Association for Quantitative Finance (IAQF)/SunGard Financial Engineer of the Year in recognition of his individual contributions to the advancement of quantitative finance.

Schwartz is the winner of a number of awards for both teaching excellence and the quality of his published work. He has served as associate editor for more than a dozen journals, including Journal of Finance, Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is a former president of the Western Finance Association and the American Finance Association. He is a fellow of the American Finance Association and the Financial Management Association International. He is also a research associate of the National Bureau of Economic Research.

Schwartz was awarded a Doctor Honoris Causa by the University of Alicante in Spain and by the Copenhagen Business School. He also received the 2000 Graham and Dodd Award for his paper “Rational Pricing of Internet Companies,” published in the Financial Analysts Journal. He has been a consultant to governmental agencies, banks, investment banks and industrial corporations.

 

Education

Ph.D. Finance, 1975, University of British Columbia

M.Sc. Business Administration, 1973, University of British Columbia

B.Eng. Industrial Engineering, 1963, University of Chile

Published Articles

1. Brennan, M.J., and Schwartz, E.S., "The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee" Journal of Financial Economics, 3, 195-213 (1976).

2. Schwartz, E.S., "The Valuation of Warrants: Implementing a New Approach," Journal of Financial Economics, 4, 79-93 (1977); reprinted in Options: Classical Approaches to Pricing and Modeling, edited by Lane Hughston, RISK Books, 1999.

3. Brennan, M.J. and Schwartz, E.S., "Savings Bonds, Retractable Bonds and Callable Bonds," Journal of Financial Economics, 5, 67-88 (1977).

4. Boyle, P.P. and Schwartz, E.S., "Equilibrium Prices of Guarantees Under Equity-Linked Contracts," The Journal of Risk and Insurance, XLIV, 4, 639-660 (1977).

5. Brennan, M.J. and Schwartz, E.S., "The Valuation of American Put Options," The Journal of Finance, 32, 2, 449-462 (May 1977).

6. Brennan, M.J., and Schwartz, E.S., "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," The Journal of Finance, 32, 5, 1699-1715 (December 1977).

7. Brennan, M.J. and Schwartz, E.S., "Corporate Income Taxes, Valuation and the Problem of Optimal Capital Structure," Journal of Business, 51, 1, 103-114 (January 1978).

8. Brennan, M.J., and Schwartz, E.S., "Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis," Journal of Financial and Quantitative Analysis, XIII, 3, 461-474 (September 1978).

9. Brennan, M.J. and Schwartz, E.S., "Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee," Journal of Business, 52, 1, 63-93 (January 1979).

10. Brennan, M.J., and Schwartz, E.S., "A Continuous Time Approach to the Pricing of Bonds," Journal of Banking and Finance, 3, 2, 133-155, (July 1979).

11. Anathanarayanan, A.L., and Schwartz, E.S., "Retractable and Extendable Bonds: The Canadian Experience," The Journal of Finance, 35, 1, 31-47 (March 1980).

12. Brennan, M.J. and Schwartz, E.S., "Conditional Predictions of Bond Prices and Returns," The Journal of Finance, 35,2,405-417 (May 1980).

13. Brennan, M.J. and Schwartz, E.S., "Analyzing Convertible Securities," Journal of Financial and Quantitative Analysis, XV, 4, 907-929 (November 1980).

14. Brennan, M.J. and Schwartz, E.S., "Regulation and Corporate Investment Policy," The Journal of Finance, 37, 2, 289-300 (May 1982).

15. Schwartz, E.S., "The Pricing of Commodity-Linked Bonds," The Journal of Finance, 37, 1, 525-539 (May 1982).

16. Brennan, M.J. and Schwartz, E.S., "The Case for Convertibles," Chase Financial Quarterly, 1, 3, 27-46 (Spring 1982).

17. Brennan, M.J. and Schwartz, E.S., "Bond Pricing and Market Efficiency," Financial Analysts Journal, 38, 5, 49-56 (September/October 1982).

18. Brennan, M.J. and Schwartz, E.S., "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, XVII, 3, 301-329 (September 1982).

19. Brennan, M.J. and Schwartz, E.S., "Consistent Regulatory Policy Under Uncertainty," The Bell Journal of Economics, 13,, 2, 507-521 (Autumn 1982).

20. Brennan, M.J. and Schwartz, E.S., "Alternative Methods for Valuing Debt Options," Finance, 4, 2, 119-137 (October 1983).

21. Brennan, M.J. and Schwartz, E.S., "Optimal Financial Policy and Firm Valuation", The Journal of Finance, 39, 3, 593-607 (July 1984).

22. Schaefer, S.M. and Schwartz, E.S., "A Two-Factor Model of the Term Structure: An Approximate Analytical Solution," Journal of Financial and Quantitative Analysis, 19, 4, 413-424 (December 1984).

23. Brennan, M.J. and Schwartz, E.S., "A Note on the Geometric Mean Index," Journal of Financial and Quantitative Analysis, 20, 1, 119-122 (March 1985).

24. Brennan, M.J. and Schwartz, E.S., "Evaluating Natural Resource Investments," The Journal of Business 58, 2,135-157 (April 1985).

25. Brennan, M.J. and Schwartz, E.S., "A New Approach to Evaluating Natural Resource Investments," Midland Corporate Finance Journal,3, 1, 37-47 (Spring 1985).

26. Brennan, M.J. and Schwartz, E.S., "Determinants of GNMA Mortgage Prices," Journal of AREUEA, 13, 3, 209-228 (Fall 1985).

27. Heinkel, R. and Schwartz, E.S., "Rights Versus Underwriting Offerings: An Asymmetric Information Approach," The Journal of Finance, 41 1, 1-18 (March 1986).

28. Dietrich-Campbell, B. and Schwartz, E.S., "Valuing Debt Options: Empirical Evidence," Journal of Financial Economics, 16, 3, 321-343 (July 1986).

29. Jorion, P. and Schwartz, E.S., "Segmentation vs. Integration in the Canadian Stock Market," The Journal of Finance, 41, 3, 603-614 (July 1986).

30. McConnell, J. and Schwartz, E.S., "Taming LYONS," The Journal of Finance, 41, 3, 561-576 (July 1986). Reprinted in The Handbook of Financial Engineering, C.W. Smith and C.W. Smithson (Ed.), Harper Business Books, 1990.

31. Schwartz, E.S., "Options and Portfolio Insurance," Financial Markets and Portfolio Management, 1, 1, 9-17 (1986-87).

32. Schaefer, S.M. and Schwartz, E.S., "Time Dependent Variance and the Pricing of Bond Options," The Journal of Finance, 42, 5 (December 1987).

33. Schwartz, E and Van Order, R., "Valuing the Implicit Guarantee of the Federal National Mortgage Association," Journal of Real Estate Finance and Economics 1:1, 23-34 (April 1988).

34. Brennan, M.J. and Schwartz, E.S., "Time Invariant Portfolio Insurance Strategies," The Journal of Finance, 43:2, 283-300 (June 1988).

35. Giammarino,R., Schwartz, E.S., and Zechner,J., "Market Valuation of Bank Assets and Deposit Insurance in Canada," Canadian Journal of Economics, 22:1, 109-127 (February 1989).

36. Hughes, P. and Schwartz, E.S., "The LIFO/FIFO Choice: An Asymmetric Information Approach," The Journal of Accounting Research, 26, 41-58 (1989).

37. Schwartz, E.S., and Torous, W., "Prepayment and the Valuation of Mortgage Backed Securities", Journal of Finance, 44:5, 375-392 (June 1989).

38. Brennan, M.J. and Schwartz, E.S., "Portfolio Insurance and Financial Market Equilibrium," Journal of Business, 62: 4, 455-472 (October 1989).

39. Schwartz, E.S., and Torous, W., "Stripped Mortgage Backed Securities," Housing Finance Review, 8:4, 241-251 (Fall 1989).

40. Morck, R., Schwartz, E.S., and Stangeland, D., "The Valuation of Forestry Resources Under Stochastic Prices and Inventories",Journal of Financial and Quantitative Analysis, 24:4, 473-488 (December 1989).

41. Brennan, M.J. and Schwartz, E.S. "Arbitrage in Stock Index Futures," Journal of Business, 63: 1, 57-531 (January 1990).

42. Gibson, R., and Schwartz, E.S., "Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," The Journal of Finance, 45:3, 959-976 July 1990.

43. Franks, J.R. and Schwartz, E.S., "The Stochastic Behavior of Market Variance Implied in the Prices of Index Options: Leverage, Volume and Other Effects", Economic Journal, 101, 1460-1475 (November 1991).

44. Schwartz, E.S., and Torous, W., "Prepayment, Default and the Valuation of Mortgage Pass-Through Securities", Journal of Business, 65:2, 221-239, April 1992.

45. Longstaff, F.A. and Schwartz, E.S., "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model",Journal of Finance, 47:4, 1259-82, (September 1992).

46. McConnell, J.J. and Schwartz, E.S. "The Origin of LYONs: A Case Study in Financial Innovation", Journal of Applied Corporate Finance, 4:4, 40-47, (Winter 1992)

47. Schwartz, E.S. and Zurita, S., "Sovereign Debt: Optimal Contract, Underinvestment and Forgiveness," Journal of Finance, 47:3, 981-1004 (July 1992).

48. Longstaff, F.A. and Schwartz, E.S., "A Two Factor Interest Rate Model and contingent Claims Valuation", Journal of Fixed Income, 2:3, 16-23, (December 1992).

49. Longstaff, F.A. and Schwartz, E.S., "Interest Rate Volatility and Bond Prices", Financial Analysts Journal, 70-74 (July/August 1993).

50. Grunbichler, A. and Schwartz E. " The Volatility of the German and Swiss Equity Market", Financial Markets and Portfolio Management 7:2, 1993, 205-215.

51. Cortazar, G. , and Schwartz E.S., "A Compound Option Model of Production and Intermediate Inventories", Journal of Business, 66:4, 517-540 (October 1993).

52. Longstaff, F.A. and Schwartz, E.S., "Implementation of the Longstaff-Schwartz Interest rate Model", Journal of Fixed Income, 3:2, 7-14 (September 1993).

53. Schwartz, E.S. and W.N. Torous, "Mortgage Prepayment and Default Decisions: A Poissson Regression Approach", AREUEA Journal 21:4, 1993, 431-449.

54. Hughes, P.J., Schwartz, E.S. and Thakor, A.V., "Capital Structure and the LIFO/FIFO Choice," Journal of Accounting, Auditing and Finance, 9:1, 1-19 (Winter 1994).

55. Cortazar, G. and Schwartz, E.S., "The Valuation of Commodity Contingent Claims", Journal of Derivatives, 1:4, 27-39 (Summer 1994).

56. Grunbichler, A., Longstaff, F.A. and Schwartz, E.S., "Electronic Screen Trading and the Transmission of Information: An Empirical Examination", Journal of Financial Intermediation, 3, 166-187 (1994).

57. Longstaff, F.A. and Schwartz, E.S., "Comments on "A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model", The Journal of Fixed Income, 3:4, 101-102 (March 1994).

58. Schwartz, E.S. and Venezia, I., "The Determinants of Bond Call Premia: Theory and Empirical Tests", Journal of Financial Services Research, 8, 243-256 (December 1994).

59. Longstaff, F.A. and Schwartz, E.S., "Valuing Credit Derivatives", The Journal of Fixed Income, 5:1, 6-12 (June 1995).

60. Longstaff, F.A. and Schwartz, E.S., "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt", The Journal of Finance, 50:3, 789-819 (July 1995).

61. Cornell, B., Longstaff, F.A. and Schwartz, E.S., "Throwing Good Money after Bad? Cash Infusions and Distressed Real Estate",AREUEA Journal, 24:1, 23-41 (Spring 1996).

62. Brennan, M.J, Schwartz, E.S., and Lagnado R., "Strategic Asset Allocation", Journal of Economic Dynamics and Control," 21, 1377-1403 (1997).

63. Cortazar, G. and E.S. Schwartz, "Implementing a Real Options Model for Valuing an Undeveloped Oil Field", International Transactions in Operational Research 4:2, 125-137 (1997).

64. Schwartz, E.S. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging", Presidential Address at the American Finance Association meetings in New Orleans in January 1997, Journal of Finance, 52:3, 923-973 (July 1997).

65. Cortazar, G., Schwartz, E.S. and Salinas M., "Evaluating Environmental Investments: A Real Options Approach", Management Science, 44:8, 1059-1070 (August 1998).

66. Miltersen, K.R. and E.S. Schwartz, "Pricing Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates", Journal of Financial and Quantitative Analysis, 33:1, 33-59 (March 1998).

67. Schwartz, E.S., "Valuing Long Term Commodity Assets", Financial Management, 27:1, 57-66 (Spring 1998).

68. Cortazar, G., E.S. Schwartz and A. Lowener, "Opimal Investment and Production Decisions and Firm Valuation", Review of Derivatives Research 2:1, 39-57 (1998).

69. Cortazar, G. and E.S. Schwartz, "Monte Carlo Evaluation of an Undeveloped Oil Field", Journal of Energy, Finance & Development, 3:1, 73-84 (1998).

70. Schwartz, E.S. and M. Moon, "Rational Pricing of Internet Companies", Financial Analysts Journal 56:3, 62-75 (2000)

71. Corzo, T. and E.S. Schwartz, "Convergence within the European Union: evidence from Interest Rates", Economic Notes, 29:2, pp. 243-268 (2000).

72. Schwartz, E.S. and J.E. Smith, "Short-term Variations and Long-term Dynamics in Commodity Prices", Management Science, 46:7, pp. 893-911 (2000).

73. Longstaff, F.A. and E.S. Schwartz, "Valuing American Options by Simulation: A Simple Least-Square Approach", Review of Financial Studies, 14:1, pp. 113-147 (Spring 2001).

74. Khindanova, I., S Rachev and E. Schwartz, "Stable Modeling of Value at Risk", Mathematical and Computer Modeling, 34,pp. 1223-1259. (2001)

75. Longstaff, F.A., P. Santa-Clara and E.S. Schwartz, "The Relative Valuation of Interest Rate Caps and Swaptions: Theory and Empirical Evidence", Journal of Finance 56:6, pp. 2067-2110 (December 2001).

76. Cortazar, G., Schwartz, E., Casassus J., "Optimal Exploration Investments under Price and Geological Uncertainty: a Real Options Model", R&D Management Journal, 31:2 , pp181-189 (April 2001).

77. Longstaff, F.A., P. Santa-Clara and E.S. Schwartz, "Throwing Away a Billion Dollars: The Cost of Sub-optimal Exercise Strategies in the Swaption Market", Journal of Financial Economics 62:1, pp. 39-66 (2001).

78. Schwartz, E.S. and M. Moon, "Rational Pricing of Internet Companies Revisited", Financial Review, 36 (2001), pp 7-26.

79. Lucia, J. and E.S. Schwartz, "Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange", Review of Derivatives Research, 5:1 (2002), pp. 5-50.

80. Tokat, Y., S. Rachev and E.S. Schwartz, "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Approach", Journal of Economic Dynamics and Control, forthcoming.

81. Mittnik, S., S. Rachev, and E. Schwartz, "Value-at-risk and asset allocation with stable return distributions", Allgemeines Statistisches Archiv, 86:1 (2002), pp. 53-68.

82. Tokat, Y. and E.S. Schwartz, "The impact of fat tailed returns on asset allocation", Mathematical Methods of Operations Research, Special Issue on Mathematical Models in Market and Credit Risk," Editor, S. Rachev , 55:2 (2002), pp. 165-185.

83. Ortobelli, S., I. Huber and E.S. Schwartz, "Portfolio selection with stable distributed returns", Mathematical Methods of Operations Research, Special Issue on Mathematical Models in Market and Credit Risk, Editor, S. Rachev , 55:2 (2002), pp. 265-300.

84. Tokat, Y., Rachev, S., and Schwartz, E.S., "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Approach," Journal of Economic Dynamics and Control, 27:6 (2003), pp. 937-969.

85. Schwartz, E.S. and Zozaya, C., "Investment under Uncertainty in Information Technology: Acquisition and Development Projects," Management Science, 49:1, (2003), pp. 57-70.

86. Cortazar, G. and Schwartz, E.S., "Implementing a Stochastic Model for Oil Futures Prices," Energy Economics, 25:3 (2003), pp. 215-238.

87. Nelsen, M.J. and Schwartz, E.S., "Theory of Storage and the Pricing of Commodity Claims," Review of Derivatives Research 7 (2004), pp. 5-24.

88. Schwartz, E.S., "Patents and R&D as Real Options," Economic Notes, 33:1 (2004), pp. 23-54.
Miltersen, K.R. and Schwartz, E.S., "R&D Investments with Competitive Interactions," Review of Finance 8, (2004), pp. 1-47.

89. Roll, R., Schwartz, E.S., and Subrahmanyam, A., "Liquidity and the Law of One Price: The Case of the Futures/Cash Basis," Journal of Finance 62:5 (2007), pp. 2201-2234.

90. Schwartz, E.S. and Torous, W.N., "Commercial Office Space: Tests of a Real Options Model with Competitive Interactions," Real Estate Economics 35 (2007), pp. 1-20.

91. Cortazar, G., Schwartz, E.S., and Naranjo, L., "Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data," International Journal of Finance and Economics 12 (2007), pp. 353-369.

92. Cauley, S.D., Pavlov, A.D., and Schwartz, E.S., "Homeownership as a Constraint on Asset Allocation," Journal of Real Estate Finance and Economics 34 (2007), pp.283-311.

93. Hsu, J. and Schwartz, E.S., "A Model of R&D Valuation and the Design of Research Incentives," Insurance: Mathematics and Economics 43 (2008), pp. 350-367.

94. Trolle, A.B. and Schwartz, E.S., "A general stochastic volatility model for the pricing of interest rate derivatives," Review of Financial Studies 22:5 (2009), pp. 2007-2057.

95. Trolle, A.B. and Schwartz, E.S., "Unspanned stochastic volatility and the pricing of commodity derivatives," Review of Financial Studies, 22:11 (November 2009), pp. 4423-4461.

96. Roll, R., Schwartz, E.S., and Subrahmanyam, A., "Options Trading Activity and Firm Valuation", Journal of Financial Economics, 94:3 (December 2009), pp. 345-360.

97. Roll, R., Schwartz, E.S., and Subrahmanyam, A., "O/S; The Relative Trading Activity in Options and Stock", Journal of Financial Economics, 96:1 (April 2010), pp. 1-17.

98. Trolle, A.B. and Schwartz, E.S., "Variance risk premia in commodity markets", Journal of Derivatives, 17:3 (Spring 2010), pp. 15-32.

99. Cortazar, G., Schwartz, E.S., and Tapia, C., “Credit Spreads in Illiquid Markets: Model and Implementation”, Emerging Markets Finance and Trade, 48:6 (November–December 2012), pp. 53-72.

100. Schwartz, E. S., “The Real Options Approach to Valuation: Challenges and Opportunities”, Latin American Journal of Economics 50:2 (November 2013), pp. 163-177.

101. Trolle, A.B. and Schwartz, E.S., “The Swaption Cube”, Review of Financial Studies, 27:8 (2014), pp. 2307-2353.

102. Roll, R., Schwartz, E.S., and Subrahmanyam, A., “Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation”, Journal of Empirical Finance, 28 (September 2014), pp. 13-35.

103. Mayordomo, S., Pena, J.I. and Schwartz, E.S., “Are all Credit Default Swap Databases Equal?” European Financial Management, 20:4 (2014), pp. 677–713.

104. Cortazar, G., Kovacevic, I. and Schwartz E., “Expected Commodity Returns and Pricing Models”, Energy Economics 49 (2015) pp. 60-71.

105. Mayordomo, S., Pena, J.I. and Schwartz, E.S., “Towards a Common European Monetary Union Risk Free Rate”, The European Journal of Finance, Volume 21, Issue 12, September 2015, pages 1005-1022.

106. Kraft, H and Schwartz, E., “Cash flow multipliers and optimal investment decisions”, European Financial Management, Vol. 21, No. 3, 2015, 399–429

107. Chowdhry, B. and Schwartz, E., “How Should Firms Hedge Market Risk?”, Critical Finance Review, forthcoming.

 

Working Papers

Schwartz, E.S. and Tebaldi, C., “Illiquid Assets and Optimal Portfolio Choice,” revised November 2010.

Miltersen, K.R. and Schwartz, E.S., “Real options with uncertain maturity and competition,” March 2007.

Kraft, H., Schwartz, E.S. and Weiss F., “Growth Options and Firm Valuation”, revised October 2015.

Hambel, C., Kraft, H. and Schwartz E., “Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change” August 2015.

 

Books

Schwartz, E.S. and Trigerogis, L., Real Options and Investment Under Uncertainty: Classical Readings and Contributions, editors, MIT Press, 2001.

 

Chapters in Books

Brennan, M.J. and Schwartz, E.S., “Savings Bonds: Valuation and Optimal Redemptions Strategies,” 202-215, in FINANCIAL ECONOMICS; Essays in Honor of Paul Cootner, Sharpe, W.F. (Ed.), Prentice-Hall (1982).

2. Brennan, M.J., and Schwartz, E.S., “An Equilibrium Model of Bond Pricing and a Test of Market Efficiency,” in Option Pricing: Theory and Application, Brenner, M. (Ed.), Lexington Books, (1983).

3. Brennan, M.J. and Schwartz, E.S., “Duration, Bond Pricing and Portfolio Management,” in Innovations in Bond Portfolio Management: Duration Analysis and Immunization, Bierwag, G.O., Kaufman, G. and Toevs, A. (Eds.), JAI Press (1983).

4. Brennan, M.J. and Schwartz, E.S., “Asset Pricing in a Small Economy: A Test of the Omitted Assets Model,” in Capital Market Equilibria, Bamberg, G., and Spremann, K. (Eds.), Springer Verlag (1986).

5. Heinkel, R. and Schwartz, E.S. “Precommitment to Equity Financing Choices in a World of Asymmetric Information,” in Recent Developments in Corporate Finance, Edwards, J., Franks, J., Mayer, C., and Schaefer, S. (Eds.), Cambridge University Press (1986).

6. Brennan, M.J. and Schwartz, E.S., “Optimal Arbitrage Strategies Under Basis Variability,” 167-180, in Studies in Banking and Finance 5, M.Sarnat (ed.), North Holland, (1988).

7. Gibson, R., and Schwartz, E.S., “Valuation of Long Term Oil-Linked Assets” in Stochastic Models and Option Values: Applications to Resources, Environment and Investment Problems, Dederik Lund (ed.). North Holland, (1991).

8. Schwartz, E.S. and Torous, W.N., “Caps on Adjustable Rate Mortgages: Valuation, Insurance and Hedging,” in NBER Conference Book, Financial Markets and Financial Crises, Hubbard, R.G. (ed.). University of Chicago Press (1991).

9. Schwartz, E.S., “Mortgage-Backed Securities,” 814-17, in The New Palgrave Dictionary of Money and Finance, Newman, P., Milgate, M. and Eatwell, J. (Eds), The Macmillan Press Limited (1992).

10. Brennan, M.J., and Schwartz, E.S., “Convertible Securities,” 453-55, in The New Palgrave Dictionary of Money and Finance, Newman, P., Milgate, M. and Eatwell, J. (Eds), The Macmillan Press Limited (1992).

11. Schwartz, E.S. and Zurita, S., “Sovereign Debt: An Economic Perspective,” in Recent Developments in International Banking and Finance, Sarkis J. Khoury (Ed.), Blackwell (1992), Volume 6, pp. 75-96.

12. Gibson, R. and Schwartz, E.S., “The Pricing of Crude Oil Futures Options Contracts,” in Advances in Futures and Options Markets, Volume 6, Don M. Chance and Robert R. Trippi (Ed.), JAI Press Inc. (1993), pp. 291-311.

13. Brennan, M.J. and Schwartz, E.S., “The Use of Treasury Bill Futures in Strategic Asset Allocation Programs,” in World Wide Asset and Liability Modeling, William T. Ziemba and John M. Mulvey (eds), Cambridge University Press, (1999), pp. 205- 228.

14. Schwartz, E.S. and Moon, M., “Evaluation of Research and Development Investments,” in Innovation, Infrastructure and Strategic Options, M. J. Brennan and L. Trigeorgis (eds), Oxford University Press, (2000), pp. 85-106.

15. Gotzenberger, G., Rachev, S.T., and Schwartz, E.S., “Performance Measurements: The Stable Paretian Approach,” in Applied Mathematics Reviews, Volume1, Editor George A. Anastassiou, World Scientific (2000), pp. 329-406.

16. Schwartz, E.S. and Trigeorgis, L., “Real Options and Investment under Uncertainty: An Overview,” in Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions, edited by E.S. Schwartz and L. Trigerogis, MIT Press (2001), pp. 1-16.

17. Schwartz, E.S. and Zozaya, C., “Evaluating Investments in Disruptive Technologies,” in Mathematical Finance - Bachelier Congress 2000, Editors H. Geman, D. Madan, S. Pliska and T. Vost, Springer-Verlag (2002), pp. 463-486.

18. Schwartz, E.S. and Torous, W.N., “Can we Disentangle Risk Aversion from Intertemporal Substitution in Consumption?,” in Essays on Uncertainty, Editors Petter Bjerksund and Oystein Gjerde, Norges Handelshoyskole (2002), pp. 59-78.

19. Cortazar, G., Schwartz, E.S. and Casassus, J., “Optimal Exploration Investments under Price and Geological-Technical Uncertainty: a Real Options Model,” in Real R&D Options edited by Dean Paxson, Butterworth-Heinemann (2003), pp. 149-165. An earlier version of this paper was published in R&D Management Journal, 31:2, (April 2001).

20. Martin, B., Rachev, S., and Schwartz, E.S., “Stable Non-Gaussian Models for Credit Risk Management,” in Handbook of Heavy Tailed Distributions in Finance, edited by S.T. Rachev, Elsevier/North Holland (2003), pp. 405-441.

21. Tokat, Y., Rachev, S., and Schwartz, E.S., “Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails,” in Handbook of Heavy Tailed Distributions in Finance, edited by S.T. Rachev, Elsevier/North Holland (2003), pp. 509-546.

22. Ortobelli, S., Huber, I., Rachev, S., and Schwartz, E.S., “Portfolio Choice Theory with non-Gaussian Distributed Returns,” in Handbook of Heavy Tailed Distributions in Finance, edited by S.T. Rachev, Elsevier/North Holland (2003), pp. 547-594.

23. Rachev, S., Schwartz, E.S., and Khindonova, I., “Stable Modeling of Market and Credit Value at Risk,” in Handbook of Heavy Tailed Distributions in Finance, edited by S.T. Rachev, Elsevier/North Holland (2003), pp. 249-328.

24. Rachev, S, Ortobelli, S., and Schwartz, E.S., “The Problem of Optimal Asset Allocation with Stable Distributed Returns,” in Stochastic Processes and Functional Analysis, edited by A. C. Krinik and R. J. Swift, Marcel Dekker, Inc (2004), pp. 295- 347.

25. Schwartz, E.S. and Trolle, A.B., “Pricing expropriation risk in natural resource contracts – A real options approach”, in William Hogan and Federico Sturzenegger, eds.: The Natural Resources Trap, Private Investment without Public Commitment, MIT Press (June 2010), pp. 263-288.

Awards and Honors

  • First prize in the 1981 Prize Competition of the Institute for Quantitative Research in Finance for the best paper and presentation: “Bond Pricing and Market Efficiency” (joint with M. J. Brennan).
  • Graduate Teaching Excellence Award for 1985/86, Faculty of Commerce and Business Administration, University of British Columbia.
  • The Greenwich Capital Markets Investment Prize for the best paper in the area of investments presented at the 1989 Meeting of the American Finance Association (“Stochastic Convenience Yield and the Pricing of Oil Contingent Claims,” joint with Rajna Gibson), December 1990.
  • Citibank Teaching Award, 1991-92, Anderson Graduate School of Management, University of California, Los Angeles.
  • Teaching Award, Executive MBA Class of 1995, Anderson Graduate School of Management, University of California, Los Angeles.
  • Fellow of the American Finance Association, 2000.
  • The Edwin Mills Best Paper Award for 2007 for “Commercial Office Space: Tests of a Real Options Model with Competitive Interactions” (joint with W. Torous). This award is given annually to the author(s) of the best paper published in Real Estate Economics.
  • Doctor Honoris Causa, Copenhagen Business School, Denmark, April 2008.
  • "Catedra de Excelencia", University Carlos III Madrid, Spain, Spring 2009.
  • CAF Academic Fellow 2013, Indian School of Business, Hyderabad, July 2013
 

Video

Hybrid Funding Model Provides Optimal Support for Vaccine Research and Development

Eduardo Schwartz, Professor of Finance; California Chair in Real Estate and Land Economics; Area Chair